Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0222
Annualized Std Dev 0.2377
Annualized Sharpe (Rf=0%) -0.0935

Row

Daily Return Statistics

Close
Observations 3456.0000
NAs 1.0000
Minimum -0.1970
Quartile 1 -0.0051
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0062
Maximum 0.1593
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0150
Skewness -1.0789
Kurtosis 26.2237

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0105
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7198
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0380
Modified VaR (95%) -0.0209
Modified ES (95%) -0.0209
From Trough To Depth Length To Trough Recovery
2007-07-06 2009-03-09 NA -0.7198 3452 422 NA
2007-06-28 2007-06-28 2007-07-02 -0.0005 3 1 2
2007-07-03 2007-07-03 2007-07-05 -0.0005 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA 0 -0.5 2.2 1 -1.3 0.6 0.2 2.2
2008 1.7 -2.3 3.7 0.8 0.5 -1.7 -1.1 0.8 2.4 6.5 -10.4 5 4.9
2009 -2.1 -1 1.9 0 5.6 0.3 0.4 -1.3 -1.3 -2.5 1.6 -0.1 1.2
2010 0.5 0.3 0 -0.2 -2 -0.5 -0.2 2 1.2 -0.3 2.6 0.5 3.9
2011 2.2 -1.2 0.4 0.1 -1.5 1.1 0.2 -0.4 -1.3 -2 -0.5 1.1 -2
2012 0.8 0.5 1.5 -0.1 -1.4 1.7 -0.7 1 -0.5 1 0.8 0.3 5
2013 -0.7 0.4 -0.8 -0.5 -3.1 1.1 0.9 -0.5 1 0.2 0.2 1.3 -0.7
2014 -0.4 0.1 1.1 0.1 0.2 0.8 -0.8 -0.2 -1.2 1.5 -1 -0.1 0.2
2015 0.2 0.1 -0.4 0.5 -0.1 -0.9 0.1 -2.2 0.4 -0.3 1.1 -0.4 -1.9
2016 0.2 2 0.5 -0.6 1 0.3 -0.4 0.3 0.6 -1 -0.4 0.1 2.5
2017 0.2 1 1.2 1 0.9 0.1 0.3 0.9 1 -0.5 0.6 0.3 7.1
2018 0 -1.8 1.5 -0.1 0.7 0.2 -1.1 0.1 0 1.2 0.4 -0.1 0.9
2019 0.3 -0.3 1.2 0.1 -1 0.7 -1 0.2 -0.5 0.4 -0.6 0.3 -0.2
2020 -1.2 -3.8 -4.1 -1.9 1.3 0.7 -0.5 -0.3 -0.5 -1.7 0.9 1.6 -9.3
2021 1.6 1.8 0 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-06-27  20.0 SPY    150.  1.42e-2  -0.0049  -0.0121   0.0605    0.203    0.321    0.542 GLD    63.7  0.0008   -0.0161
2 2007-06-28  20   SPY    150. -1.00e-4  -0.0105  -0.0202   0.0592    0.214    0.326    0.539 GLD    64.3  0.00930  -0.0046
3 2007-06-29  20   SPY    150.  3.00e-4  -0.0008  -0.0188   0.0594    0.206    0.320    0.513 GLD    64.3  0.0002   -0.0079
4 2007-07-02  20.0 SPY    152.  9.00e-3   0.0131  -0.0149   0.0677    0.193    0.325    0.534 GLD    65.0  0.0117    0.0092
5 2007-07-03  20   SPY    152.  3.60e-3   0.0273  -0.0114   0.0602    0.197    0.349    0.570 GLD    64.7 -0.0043    0.0176
6 2007-07-05  20.1 SPY    152. -1.10e-3   0.0118  -0.0085   0.0579    0.191    0.348    0.602 GLD    64.4 -0.0049    0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart